Mar 15, 2013

Moves size and length

The charts since 2000... The CFD data feed is not 1:1 with the cash index. I am sure I have counted somewhere a day more or less but that it is not important. The average size/length is more important. I will update every year with the next chart and this will be something like historical reference.
P.S. Raw Data bellow the charts.


Observations Swing moves - I am interested in catching the swing moves which last for weeks sometimes months. They are not so consistent as the corrective moves described bellow but anyway I have made some useful observations:
1. Bull Market
- They last at least 45 trading days and the usual range is 45-70 trading days. The exceptions are two times in 2010 and 2011 after the huge drops the first move up was shorter and there was deep retracement before a swing with normal length. The other two exceptions - only 32 trading days before the top in 2007 and 38 trading days before the top in 2011 followed by huge scary drop. Currently 2013 the last three swings up are longer than usual....
- The size vary a lot and depends on at which phase of the bull market appears - average size normal swing 10%-15% / after counter trend moves ~20% +-3% / after bear market bottom >25%

2. Bear Market
- They are shorter than in a bull market average size 30 trading days the range is usually something between 25-35 trading days. The exceptions are the final low, the move is longer 71/50 trading days and other two occasions 42 and 46 days I have no explanation for them:)
- The average size is 10%-15% when the bear is still calm / the panic sell off one per bear market - 30%/36% / final move lower bigger than average swing 17,5%/28,8%. The 2000 bear has two extra mini panic sell offs 21% and 22% and one more counter trend move.
- Wild market swings - they appear after the panic sell off for the bear market and before the final low. This is an up-down-up sequence of three swings visible in both bear markets. The length can vary but the size is 20%-26%.

3. This moves are divided from corrections or pullbacks which last ~15 trading days or more. You will see at least 2 such moves in the direction of the trend, more often 3 swings, before meaningful move in the opposite direction - usually counter trend move.


Observations Corrective moves - no so random as you would expect:) and very consistent. Here is how I categorize them:
1. Pullback - they are great entry points to jump on the trend so when you see 4%-5% pullback you can jump on it or add to the position with very low risk. In a bull market they are smaller and last longer compared to bear markets which is normal, the bear markets are more volatile.
- bear - average size is 5,3% and range 4,5%-6,5%. Average length 6 trading days +-2 trading days deviation.
- bull - average size is 3,8% and range of 3%-5%. Average length 7 trading days +-2 trading days deviation. There is exceptions when a pullback lasts longer 11,13,16 days but the size stays the same.

2. Correction - they are great entry point for a new position. When you see correction 8%-9% and there is no divergences on the weekly chart or the market breadth indicators you can safely load in the direction of the trend. They differ a little bit in bear and bull markets - the same story a bear market is more volatile and the corrections are bigger and faster.
- bear - average size is 9% and range of 8%-10%. Average length 15 trading days +-5 trading days deviation.
- bull - average size is 8% and range of 6,5%-9%. Average length 22 trading days +-7 trading days deviation. It vary a lot from 15 to 35 trading days.

3. Counter trend move - someday the trend is tired and a move in the opposite direction starts. Usually you have 2-3 swings in the direction of the trend divided from corrections before such counter trend move appears. They last longer than normal correction 45 days or longer.
- bear - lasts 40-50 days and size is 15%-25%. The difference with the "wild swings phase" is that the "wild swings" are short living 20-35 trading days.
- bull - difficult to summarize.... the 2003 bull was more calm this moves lasted longer but were shallow. The 2007 is more volatile the moves are deep but short living. Why such drops like in 2010 and 2011 are not the beginning of a new bear market? - because a bear market does no begin with explosion.


Observations Reversals Bull<->Bear:
- Topping is a process and it lasts several months, in 2000 and 2007 it was roughly 6 months. You have enough time to see it.
- A Bottom is an event it just happens. The bottom could be tested like in 2002, or not like in 2009. The common what I see is after a panic phase there is a phase with large 20% "wild" swings up-down-up and than we saw the final low. Watch for this sequence panic sell of -> wild swings -> final low.
- How to be sure that we are really in an new bull/bear market? - after a top or a bottom the subsequent move should be long enough. From the two cyclical bear and bull markets what I see is that not the size is important but the length. In bear markets you have wild swings up larger than 20% and in bull markets sudden and huge drops like in 1987/1997/2011 20% or more, but they all are short living.
Bear markets counter trend moves lasted 40-45-50 days, the wild swing 20-30 days - but the first moves before we even see a correction after the bottoms in 2003/2007 lasted ~70 days. For bull markets the counter trend moves lasted again 45-50 days, but the first moves lower after a top were again longer than 68/78 days (even longer than 100 days before a counter trend move of 45-40 days).


Observations Reversals Dates: - go through the charts and look at the major turn dates. You will notice the same months repeating over and over.
REMEMBER THIS MONTHS - March / July / October.



BEAR 2000




BEAR 2007



------------------------------------------------------------------------------------------



BULL 2003-2007






BULL 2009-





------------------THE DATA-------------------

BULL MARKETS

Trend moves
2003
- 225TD - 47%
- 133TD - 15,8%
- 132TD - 10%
- 144TD - 13,5%
- 155TD - 19,4%
- 89TD - 14%
- 38TD - 15%
2009
- 287TD - 82%
- 205TD - 36,4%
- 160TD - 32,7%
- still running

Swings
2003
- 69TD - 28,5%
- 52TD - 10%
- 46TD - 12,8%
- 39TD - 7,7%
- 47TD - 11,7%
- 79TD - 9,9%
- 61TD - 10,8%
- 64TD - 5,8%
- 155TD - 19,4%
- 58TD - 13%
- 38TD - 15%
2009
- 70TD - 43%
- 51TD - 23,7%
- 48TD - 11,7%
- 53TD - 16%
- 23TD - 11,9%
- 49TD - 18%
- 56TD - 14,5%
- 32TD - 10%
- 18TD - 20,2%
- 83TD - 23,8%
- 77TD - 16,4%

Counter-trend moves
2003
- 112TD - 8,6%
- 50TD - 7,9%
2009
- 49TD - 17%
- 107TD - 21,9%
- 49TD - 11,1%
- 44TD - 8,8%

Corrections
2003
- 33TD - 5,5%
- 12TD - 7%
- 28TD - 6,3%
- 36TD - 7,4%
- 29TD - 7,7%
- 24TD - 6,5%
- 15TD - 6,8%
- 20TD - 11,8%
2009
- 23TD - 9,1%
- 18TD - 8,4%
- 12TD - 8%
- 17TD - 6,8%
- 32TD - 8,4%
- 20TD - 11%

Pullbacks
2003
- 6TD - 5,8%
- 7TD - 3,9%
- 8TD - 4,8%
- 7TD - 3,6%
- 8TD - 3,3%
- 7TD - 3%
- 6TD - 2,7%
- 13TD - 4,7%
- 18TD - 4,4%
- 5TD - 2,5%
- 6TD - 2,8%
- 11TD - 4,3%
- 18TD - 4,3%
- 11TD - 2,5%
- 19TD - 3,2%
- 7TD - 2,3%
- 7TD - 2,6%
- 8TD - 3,6%
- 7TD - 2,3%
- 16TD - 4%
- 10TD - 3,8%
2009
- 7TD - 5,8%
- 8TD - 5,4%
- 9TD - 6,4%
- 7TD - 4,2%
- 7TD - 3,4%
- 7TD - 4,4%
- 8TD - 5,2%
- 11TD - 4,4%
- 7TD - 4%
- 5TD - 4%
- 7TD - 3,8%


------------------------------------

BEAR MARKETS

Trend moves
2000
- 139TD - 29,4%
- 81TD - 28%
- 134TD - 34%
- 71TD - 17%
2007
- 106TD - 20%
- 129TD - 48,3%
- 50TD - 28,8%

Swing moves
2000
- 33TD - 13,4%
- 30TD - 12,5%
- 36TD - 21%
- 35TD - 11,3%
- 31TD - 22,8%
- 34TD - 10,7%
- 46TD - 29,7%
- 71TD - 17,5%
2007
- 32TD - 10,6%
- 26TD - 17,8%
- 27TD - 8,1%
- 42TD - 16,5%
- 31TD - 36%
- 50TD - 28,8%

Counter-trend moves
2000
- 41TD - 21,7%
- 52TD - 24,3%
2007
- 45TD - 14,3%

Wild bear market rally
2000
- 22TD - 23,7% (up)
- 32TD - 20,2% (down)
- 36TD - 23,4% (up)
2007
- 7TD - 21,8% (up)
- 12TD - 26% (down)
- 30TD - 26,1% (up)

Corrections
2000
- 15TD - 8,3%
- 25TD - 10%
- 17TD - 9%
2007
- 10TD - 7,8%
- 8TD - 11,9%
- 20TD - 9,1%
- 15TD - 9%

Pullbacks
- 5TD - 2,8%
- 6TD - 6,4%
- 6TD - 4,5%
- 11TD - 5,2%
- 6TD - 4,9%
- 6TD - 5,1%
- 5TD - 5,6%
- 4TD - 5,8%
- 8TD - 5,6%
- 8TD - 6,6%
- 17TD - 5,1%

No comments:

Post a Comment

COMMENTS POSTED AFTER APPROVAL